Robust mean-variance hedging in the single period model

Details Robust mean-variance hedging in the single period model Robust mean-variance hedging in the single period model

2009-08-06

arxiv.org/abs/0908.0840v1

Economy

Quantitative Finance

Pricing of Securities

Scientific paper

We give an explicit solution of robust mean-variance hedging problem in the
single period model for some type of contingent claims. The alternative
approach is also considered.

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